Please wait a minute...

Frontiers of Business Research in China

Front. Bus. Res. China    2016, Vol. 10 Issue (4) : 525-547
Orginal Article
The Business Cycle and Profitability of Trading Strategies
Yuxing Yan1(), Shaojun Zhang2()
1. Department of Economics and Finance, Canisius College, Buffalo, NY 14208, USA
2. School of Accounting and Finance, Faculty of Business, Hong Kong Polytechnic University, Hong Kong, China
Download: PDF(492 KB)  
Export: BibTeX | EndNote | Reference Manager | ProCite | RefWorks

Recent studies show that investor participation in the stock market rises during economic expansion and drops in economic recession. When investor participation is high, investors’ cognitive and behavioral biases are likely to have a strong influence on stock prices. We consider four trading strategies that are based on well-known market anomalies and examine their profitability under different economic conditions. For all four strategies, the portfolios that are formed in the months when the economy is expanding obtain significant profits, whereas the portfolios formed in economic recession months are not profitable. This finding is robust to different ways of classifying recession months.

Keywords business cycle      investor preference      January effect      lottery-type stock      trading strategy     
Issue Date: 20 January 2017
 Cite this article:   
Yuxing Yan,Shaojun Zhang. The Business Cycle and Profitability of Trading Strategies[J]. Front. Bus. Res. China, 2016, 10(4): 525-547.
E-mail this article
E-mail Alert
Articles by authors
Yuxing Yan
Shaojun Zhang
Related articles from Frontiers Journals
[1] Huiwen Lai, Eric C. Y. Ng. On business cycle forecasting[J]. Front. Bus. Res. China, 2020, 14(3): 324-349.
[2] Dennis J. Lasser,Xue Wang. Do Arbitragers Exploit the January Effect?[J]. Front. Bus. Res. China, 2015, 9(4): 481-515.
Full text